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SparseSolvers-IRLS

A modified Iteratively Reweighted Least Squares solver for non-convex sparse regression.

Status
Private repo
Year
2025
Stack
Python, NumPy
SparseSolvers-IRLS screenshot

Why I built it

Standard IRLS struggles to converge under a nonconcave fractional penalty. This adds adaptive weighting and a dynamic smoothing term to stabilize it.

How it works

Benchmarked against other sparse solvers with BenchOpt.

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